ABT vs SYK: returns, Sharpe ratio and drawdown
Performance
ABT-26.12%SYK-25.18%
Summary
ABT vs SYK
Over the past year, SYK returned -25.18% against -26.12% for ABT. Over five years, SYK averaged +0.79% a year, compared with -3.48% for ABT. SYK had the higher Sharpe ratio over the past year (-0.97 vs -1.16), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -30.54% for SYK and -38.07% for ABT.
Current Drawdown
ABT-26.12%SYK-28.68%
Rolling Volatility
ABT+1.25%SYK+1.54%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ABTSYK
Alpha
ABT
-31.80%
SYK
-30.92%
Beta
ABT
0.03x
SYK
0.15x
Sharpe
ABT
-1.16
SYK
-0.97
Sortino
ABT
-1.60
SYK
-1.29
Omega
ABT
0.81
SYK
0.85
Calmar
ABT
-0.69
SYK
-0.82
Martin
ABT
-1.47
SYK
-1.89
Comparisons